行业分析师盈利预测偏差的新解释

发布时间：2018-01-08 01:34

本文关键词：行业分析师盈利预测偏差的新解释　出处：《经济研究》2012年04期 　论文类型：期刊论文

【摘要】：对于卖方行业分析师(简称分析师)盈利预测偏差的现象,本文提出一个新假说,即作为理性投资的代表者——分析师的盈利预测偏差会受到投资者情绪或噪音交易的影响,并通过我国的数据证实了该假说。首先,通过实证研究,发现国内行业分析师盈利预测存在系统性的偏差。其次,构造月度投资者情绪指数,通过非参数和参数的统计方法,针对盈利预测偏差的时间序列和面板数据两组数据,证明了情绪是分析师盈利预测偏差的一个重要因素。国际文献中对分析师偏差的绝大多数理论解释通常是基于经典金融学的框架,即假设分析师是完全理性的,其偏差主要来自利益驱动(他们供职的机构或个人利益最大化)。而本文认为情绪和利益驱动因素相结合才能更好地解释分析师预测的偏差。
[Abstract]:In this paper, a new hypothesis is put forward for the phenomenon of the deviation of the profit forecast of the seller industry analyst (abbreviated as the analyst). That is, as the representative of rational investment, the analyst's profit forecast bias will be affected by investor sentiment or noise trading, and the data of our country confirm the hypothesis. First, through empirical research. It is found that there is a systematic deviation in the forecast of domestic industry analysts' earnings. Secondly, the monthly investor sentiment index is constructed, and the non-parametric and parametric statistical methods are used. The time series and panel data are two sets of data. It is proved that sentiment is an important factor in the bias of analysts' earnings forecast. Most of the theoretical explanations of analyst bias in international literature are usually based on the framework of classical finance, that is, the assumption that the analyst is completely rational. The bias is mainly driven by profit (the institution or individual they work for) maximizes their interests, and this paper argues that a combination of sentiment and profit drivers can better explain the bias in analysts' forecasts.
【作者单位】：北京师范大学经济与工商管理学院金融系;
【基金】：国家自然科学基金重点项目(70831001)资助国家社会科学基金重大项目(10zd&017)资助
【分类号】：F224;F830.59
【正文快照】： 分析师的盈利预测研究是金融领域的重要分支,本文对分析师盈利预测时产生行为偏差的现象与根源进行研究,可以了解国内分析师投资决策的行为特点,有利于更理性地对上市公司估值,在公司金融、资产定价、行为金融等领域都有比较重要的理论意义。本文重要的实际应用是能较准确地

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